To Define a Custom Datum that Allows Specifying a Grid Shift File

Set the configuration variable MS_GEOCOORDINATE_USERLIBRARIES to point to the location of your custom .dty file.
Open the Edit Datums dialog (right-click on a user library in the Select Geographic Coordinate System dialog).
Select New to define a new user-defined datum based on a grid shift file.
The Edit Datum Properties dialog opens.
Specify Name, Description, and Source as needed.
Select Grid Shift Files in the Conversion Method.
The properties will default to NTv2, Direct, and an empty filename.
Set the properties and assign a file name.
The file name is specified as a directory relative to the root GeoCoordinateData directory of the product. For example, C:\Program Files\Bentley\MicroStation CONNECT Edition\MicroStation\GeoCoordinateData. Either forward or backward slashes can be used. They will be converted as necessary.
Click Ok.
The file will be defined.

The filename length is limited to 75 characters for reasons of being able to be stored in the DGN model. If the name provided is longer then you will see the below error and the editing will be discarded.

Note: The limit for the number of user-defined datums per user library is 200, but the maximum number of datums that can be defined using grid shift files is 40. If this limit has been reached you will see the below error and the datum will not be added.
Click Done.
You can edit a new GCS using the Edit Geographic Coordinate System dialog.

See To Create and Edit a Custom Geocoordinate System.
In the Select Geographic Coordinate System dialog (Drawing > Utilities > Coordinate System > From Library), right-click on the geographic coordinate system where you wish to use the custom defined datum and select Edit Coordinate System Properties.

The Edit Geographic Coordinate System dialog opens.
In the Datum section from the Name drop-down select the newly defined datum.
Note: You will see the newly created datums at the top of the drop-down list.
Click OK.
Datum properties will be updated for the selected GCS.

If you select a user-defined GCS based on a user-defined datum that uses Grid Shift File to assign to a DGN model, you will see the below alert:

The Grid file must be installed in the default directory, C:\Program Files\Bentley\MicroStation CONNECT Edition\MicroStation\GeoCoordinateData.

Note: The directory can be moved elsewhere by copying all files in the directory to another location and setting the environment variable MS_GEOCOORDINATE_DATA.

Note: In MicroStation CONNECT Edition Update 16, the Definition of the GCS is stored in the DGN model and can be used even in the absence of the user library in which the definition is stored.